The essays in Socialism and War (SAW) are first rate. However, you can find most of the essyas from part one in Individualism and Economic Order (IEO). Parts two and three contain essays from Hayek that are hard to find elsewhere. Parts two and three are useful for those who want to dig deeper into Hayek's work, for serious historians of Hayek's economic thought. This is the work that led to Hayek's Road to Serfdom. The second and third parts are also useful for those who want to read up on Hayek quickly- these are as short an easy as Hayek's work gets.
We owe much thanks to Bruce Caldwell for keeping Hayek's work in publication and accessible. This being said, the most important essays here were already available in IEO. Few of us really need both SAW and IEO, but we few who do appreciate his efforts.